This paper is concerned with singular stochastic control for non-degenerate problems. It generalizes the previous work in that the model equation is nonlinear and the cost function need not be convex. The associated dynamic programming equation takes the form of variational inequalities. By...

The approach consists of imbedding the original control problem tightly in a convex mathematical programming problem on the space of measures and then solving the latter problem by duality in convex analysis. The dual to the control problem is to find the supremum of all smooth subsolutions to...

We consider a finite-horizon control model with additive input. There are two convex functions which describe the running cost and the terminal cost within the system. The cost of input is proportional to the input and can take both positive and negative values. It is shown that there exists a...

We consider two control problems on a finite horizon; one stochastic and the other deterministic. In both problems the running cost and the terminal cost are the same. The controllable input in both problems is of an additive nature with cost proportional to the input (which can be both positive...